The second is definitely the more polite option, but I can see why you'd think the first was more appropriate. The problem with the first one is that it gives the impression that you're becoming impatient with their lack of efficiency. If you want to be really polite, then write it as follows: "We would be grateful if you would kindly acknowledge receipt of our order" or "It would be much appreciated if you could acknowledge receipt of our order" -Nyarlathotep
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